Prediction of fractional processes with long-range dependence (Q431593): Difference between revisions
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Latest revision as of 13:39, 18 April 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Prediction of fractional processes with long-range dependence |
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Prediction of fractional processes with long-range dependence (English)
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29 June 2012
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A class of Gaussian processes with stationary increments which exhibit long-range dependence is considered. This class includes fractional Brownian motion with the Hurst parameter \(H>1/2\) as a typical example. Infinite and finite past prediction formulae are established for the processes in which the predictor coefficients are given explicitly in terms of the \(MA(\infty)\) and \(AR(\infty)\) coefficients.
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prediction coefficients
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fractional Brownian motion
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long-range dependence
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